Similar Search Results - EconBiz

Comprehensive definitions of breakdown-points for independent and dependent observations

Genton, Marc G.; Lucas, André - 2000

-series, spatial statistics) where currenty breakdown definitions typically fail. We illustrate our points using examples from linear … and non-linear regression as well as time-series and spatial statistics. …

Persistent link: https://www.econbiz.de/10011303297

The dynamic Skellam model with applications

Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2014

extension of numerically accelerated importance sampling techniques. We illustrate the new model by two empirical studies and …

Persistent link: https://www.econbiz.de/10010253460

Finite sample optimality of score-driven volatility models

Blasques, Francisco; Lucas, André; Vlodrop, Andries van - 2017

We study optimality properties in finite samples for time-varying volatility models driven by the score of the predictive likelihood function. Available optimality results for this class of models suffer from two drawbacks. First, they are only asymptotically valid when evaluated at the...

Persistent link: https://www.econbiz.de/10011772958

A hybrid joint moment ratio test for financial times series

Groenendijk, Patrick A.; Lucas, André; Vries, Casper G. de - 1998

Persistent link: https://www.econbiz.de/10000994244

Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models

Koopman, Siem Jan; Lucas, André; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 114-127

Persistent link: https://www.econbiz.de/10011389921

Comprehensive definitions of breakdown-points for independent and dependent observations

Genton, Marc G.; Lucas, André - 2000

Persistent link: https://www.econbiz.de/10001477408

Joint Bayesian analysis of oarameters and states in nonlinear non‐Gaussian state space models

Barra, István; Hoogerheide, Lennart; Koopman, Siem Jan; … - In: Journal of applied econometrics 32 (2017) 5, pp. 1003-1026

Persistent link: https://www.econbiz.de/10011862307

Mixed density based copula likelihood

Azam, Kazim; Lucas, André - 2015 - This version: January 7, 2015

using data from the 2013 Household Finance Survey, we show how the copula dependence between income (continuous) and …

Persistent link: https://www.econbiz.de/10010464789

Classical and Bayesian aspects of robust unit root inference

Hoek, Henk; Lucas, André; Dijk, Herman K. van - 1993

Persistent link: https://www.econbiz.de/10000151638

Inference on cointegrating ranks using LR and LM tests based on pseudo-likelihoods

Lucas, André - In: Econometric reviews 17 (1998) 2, pp. 185-214

Persistent link: https://www.econbiz.de/10001240672

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